The Method of Characteristics Recall that the first order linear wave equation ut + cux = 0, u(x, 0) = f (x) is constant in the direction (1, c) in the (t, x)-plane, and is therefore constant on lines of the form x − ct = x0 . To determine the value of u at (x, t), we go backward along these lines until we get to t = 0, and then determine the value of u from the initial condition. The result is u(x, t) = u(x − ct, 0) = f (x − ct). There are many extensions to this simple idea. We begin by describing the situation for linear and nearly linear equations. 1 Homogeneous transport equations We can carry out this same idea for equations of the form ut + c(x, t)ux = 0, u(x, 0) = f (x), −∞ < x < ∞. (1) Let X(T ) be any “trajectory” - think of it as a curve in the (x, t) plane, where (X, T ) are supposed to be the (x, t) coordinates. How does u evolve as we move along this trajectory? d u(X(T ), T ) = X 0 (T )ux (X(T ), T ) + ut (X(T ), T ) dT by the chain rule. If we happen to pick X 0 (T ) = c(X(T ), T ), then d u(X(T ), T ) = c(X(T ), T )ux (X(T ), t) + ut (X(T ), T ) = 0 dT by virtue of equation (1). Thus u is constant along ALL curves which are solutions of the ODE X 0 (T ) = c(X, T ). To solve for u at some (x, t), we go “backward” along this curve until we hit time zero, and since u is constant along this curve, we find that the value of u is determined by the initial condition. In other words, if X(t) = x, then u(x, t) = u(X(0), 0) = f (X(0)). The curves X(T ) that solve the ODE X 0 (T ) = c(X, T ), X(t) = x, (2) are called characteristics. For the purpose of finding characteristics, (x, t) are fixed constants, and it is X and T that vary along characteristics. 1 Example 1. Solve ut + xux = 0 with initial condition u(x, 0) = cos(x). Solution. A characteristic curve ending at (x, t) will solve X 0 (T ) = X(T ), X(t) = x, whose solution is X(T ) = x exp(T − t). Since u is constant along the characteristic, u(x, t) = u(X(0), 0) = cos(xe−t ). Example 2. We want to solve yux = xuy , u(0, y) = 2y 2 for y > 0 (3) Solution. This equation can be written in the form (1) as ux − x uy = 0, y treating x like the time variable. Let Y (X) denote characteristic curves, which is a solution to X = 0. Y 0 (X) − Y Separating variables Y dY = −XdX leads to X 2 + Y 2 = C; in other words, characteristics are closed curves encircling the origin. If an implicitly defined characteristic curve passes through (x, y), it is described by X 2 +Y 2 = x2 + y 2 . Since the solution is constant along this curve, setting X = 0 and using the side condition in (3) gives u(x, y) = u(X, Y ) = 2Y 2 = 2(x2 + y 2 ). Notice that if a boundary condition were imposed on the entire y-axis, then characteristic curves would intersect this boundary both at (0, y) and (0, −y). Unless u(0, y) = u(0, −y), this problem would not have a solution. 1.1 Inhomogeneous transport equations We can also solve equations of the form ut + c(x, t)ux = g(u, x, t), u(x, 0) = f (x), −∞ < x < ∞. (4) The only difference between this and equation (1) is that u is not constant along characteristics, but evolves according to d u(X(t), t) = g(u, X(t), t). dt 2 (5) In other words, if we let U (T ) = u(X(T ), T ) be the solution restricted to a single characteristic, it solves an initial value problem, namely U 0 (T ) = g(U, X(T ), T ), U (0) = u(X(0), 0) = f (X(0)). Thus, to find u at some point (x, t), we go backwards along the characteristic that ends at x until time zero, then solve the ODE (5) forwards until T = t. 1.2 The method of characteristics for linear problems We can summarize ideas above as an algorithm: 1. Find the characteristic terminating at (x, t): Solve X 0 (T ) = c(X, T ) with the “final” condition X(t) = x. Note that the solution for X(T ) will depend on x and t as parameters. 2. Determine the solution along a characteristic: Solve U 0 (T ) = g(U, X(T ), T ) subject to initial condition U (0) = U (X(0), 0). Again the solution depends on x and t as parameters. 3. Find the solution at the endpoint of the characteristic: The solution of the PDE at (x, t) is simply u(x, t) = U (t). Here are a couple examples of how this is used. Example 1. Solve ut + (x + t)ux = t, u(x, 0) = f (x). Solution. Characteristic curves solve the ODE X 0 (T ) = X + T, X(t) = x. This equation has a particular solution, Xp = −T − 1; the general solution is therefore X(T ) = CeT − T − 1. Using the condition X(t) = x, we find that X(T ) = eT −t (x + t + 1) − T − 1. Now we need to find how u changes along the characteristic. We solve U 0 (T ) = T, U (0) = f (X(0)) = f (e−t (x + t + 1) − 1). whose solution by direct integration is 1 U (T ) = f (e−t (x + t + 1) − 1) + T 2 . 2 3 Finally, the solution at (x, t) is simply the value at the endpoint of the characteristic 1 u(x, t) = U (t) = f (e−t (x + t + 1) − 1) + t2 . 2 Example 2. Solve the nonlinear problem ut + 3ux = −u2 , u(x, 0) = f (x). Solution. In this case, characteristics solve X 0 (T ) = 2 with X(t) = x, so that X = 2(T − t) + x. Along each characteristic, the solution evolves as U 0 (T ) = −U 2 (T ) with U (0) = f (X(0)) = f (−2t + x). This is nonlinear, but we can solve it since it is just a separable ODE which can be written dU/U 2 = −dT , so that integration gives 1/U = T + C. Using the initial 1 condition, one gets C = f (x−2t) and U (T ) = 1 T+ . 1 f (x−2t) The final solution is obtained by setting u(x, t) = U (t). Example 3. Suppose water flows over a landscape whose elevation is described by h(x). A simple model for surface water flow says that the flow velocity is equal (in the right units) to −h0 (x). It follows that if u(x, t) is the depth of water, then the flux of u is J = −h0 (x)u. In the absence of sources u satisfies the conservation equation ut + (−h0 (x)u)x = 0, which can be written in the form (4) as ut − h0 (x)ux = h00 (x)u. (6) The term on the right accounts for the fact that water will accumulate in valleys where h00 > 0, and is depleted from hills where h00 < 0. Consider a simple model for a valley where h = x2 , and suppose that the initial depth is localized as ( 1 |x| ≤ 1 u(x, 0) = 0 |x| > 1 Since equation (6) reads ut − 2xux = 2u, characteristics solve X 0 (T ) = −2X together with the terminal condition X(t) = x. The solution of this problem is X(T ) = xe2(t−T ) . 4 The solution on characteristics now solves U 0 = 2U with initial condition ( 1 |X(0)| ≤ 1 U (0) = 0 |X(0)| > 1 Therefore U (T ) = e2T if |X(0)| = |xe2t | < 1, or zero otherwise. It follows that when t = T , ( e2t |x| ≤ e−2t u(x, t) = 0 |x| > e−2t The depth of the fluid layer therefore increases R exponentially, but its width decreases exponentially in a way such that udx remains constant. 5

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